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T-Systems and the lower Snell envelope

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  • Erick Trevino Aguilar

Abstract

The dynamical analysis of American options has motivated the development of robust versions of the classical Snell envelopes. The cost of superhedging an American option is characterized by the upper Snell envelope. The infimum of the arbitrage free prices is characterized by the lower Snell envelope. In this paper we focus on the lower Snell envelope. We construct a regular version of this stochastic process. To this end, we apply results due to Dellacherie and Lenglart on regularization of stochastic processes and T -Systems.

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  • Erick Trevino Aguilar, 2009. "T-Systems and the lower Snell envelope," Papers 0902.4245, arXiv.org.
  • Handle: RePEc:arx:papers:0902.4245
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